Rational Herd Behavior and the Globalization of Securities Markets
نویسندگان
چکیده
منابع مشابه
Herd Behavior in Efficient Financial Markets
Rational herd behavior and informationally efficient security prices have long been considered to be mutually exclusive but for exceptional cases. In this paper we describe conditions on the underlying information structure that are necessary and sufficient for informational herding. Employing a standard sequential security trading model, we argue that people may be subject to herding if and on...
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We show that differences in investors risk aversion can generate herd behavior in stock markets where assets are traded sequentially. This in turn prevents markets from being efficient in the sense that Þnancial market prices do not converge to the assets fundamental value. The informational efficiency of the market depends on the distribution of the risky asset across risk averse agents. Thes...
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We present a simple model of a stock market where a random communication structure between agents generically gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data. Our model provides a link between two well-known market phenomena: ...
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In this paper we investigate the effects of herding on asset price dynamics during continuous trading. We focus on the role of interaction among traders, and we investigate the dynamics emerging when we allow for a tendency to mimic the actions of other investors, that is, to engage in herd behavior. The model, built as a mean field in a binary setting (buy/sell decisions of a risky asset), is ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1998
ISSN: 1556-5068
DOI: 10.2139/ssrn.114723